I think you're compiling it as a Latex-DVI file rather than a Latex-PDF file. In the small menu box in the menu bar, choose Latex-PDF and see if that corrects the problem. I think to compile as DVI you need to include JPEG files.

The problem is that choosing FontFamily as "Arial" (or any other FontFamily for that matter) only changes the numbers on the axis and "x", and not the greek letter omega. Do you know if I am doing something wrong here?